We are pleased to invite you to the next Baltic Economic Association Online Research Seminars and are delighted to welcome Ilja Kantorovitch (École Polytechnique Fédérale de Lausanne, Switzerland). Ilja is currently a Postdoctoral Researcher Luisa Lambertini’s Chair of International Finance at EPFL in Lausanne, Switzerland. He did his PhD at the Universitat Pompeu Fabra in Barcelona. His research focuses on information frictions in financial markets and the macroeconomy. He is interested in understanding how information production and belief formation influence outcomes in financial markets and, subsequently, in the macroeconomy. Ilja was awarded the Best PhD Paper Award at the 3rd Baltic Economic Association Conference. He was also a finalist at the 2021 ECB Young Economists Competition.
More about the speaker: https://www.kantorovitch.eu/home
Speaker: Ilja Kantorovitch (EPFL, Lausanne)
Title: Does Dispersed Sentiment drive Returns, Turnover, and Volatility for Bitcoin? (with Janko Heineken)
Paper available here.
We test the theoretical predictions of the differences-of-opinion literature by analyzing the extensive online discussion on Bitcoin to build a time-varying sen- timent distribution, defining disagreement as dispersion in sentiment. High disagreement is associated with negative returns, high turnover growth, and high volatility, confirming the theory’s predictions. However, we do not find that an increase in disagreement increases the price, which is seemingly at odds with the theoretical prediction of disagreement leading to overpricing. As the theory predicts, the disagreement effect weakens significantly after shorting instruments were introduced at the end of 2017. Our results are economically significant: at the monthly frequency, a one standard deviation increase in disagreement leads to a 9.2 percentage points lower cumulative return over the following eight months, and the adjusted R2 of regressing contemporaneous returns on average sentiment and disagreement is 0.33.
Date: Thursday, January 27
Time: 16:00 Vilnius, Riga, Tallinn
Meeting ID: 848 0756 2729